MC: So what did you like most about Merlise Clyde’s paper, Tom? Bayes: Well, I thought it was really cleaver how she pretended that the important question was how to compute model averages. So nobody noticed that the real question is whether it makes any sense in the first place.
What’s going on here? I thought Bayesians liked model averaging because it allows us to marginalise over the unknown model:
p(y|x,D)=∑ip(y|x,D,Mi)p(Mi|D)
where Mi represents the i-th model and D represents the data.
[Question] Do Bayesians like Bayesian model Averaging?
Pages 4-5 of the International Society for Bayesian Analysis Newsletter Vol. 5 No. 2 contains a satirical interview with Thomas Bayes. In a part of the interview, they appear to criticise the idea of model Averaging
What’s going on here? I thought Bayesians liked model averaging because it allows us to marginalise over the unknown model:
p(y|x,D)=∑ip(y|x,D,Mi) p(Mi|D)
where Mi represents the i-th model and D represents the data.